Nils Everling



Nils graduated from KTH in 2017 with a M.Sc.Eng. in Computer Science, specialized in language technology. Film and data analysis are significant interests. Nils is currently employed as a quantitative analyst at AP4.

Extending the explanatory power of factor pricing models using topic modeling - Computer Science Master thesis (2017)


Master thesis was performed at AP4

Link

Abstract
Factor models attribute stock returns to a linear combination of factors. A model with great explanatory power (R2) can be used to estimate the systematic risk of an investment. One of the most important factors is the industry which the company of the stock operates in. In commercial risk models this factor is often determined with a manually curated stock classification scheme such as GICS. We present Natural Language Industry Scheme (NLIS), an automatic and multivalued classification scheme based on topic modeling. The topic modeling is performed on transcripts of company earnings calls and identifies a number of topics analogous to industries. We use non-negative matrix factorization (NMF) on a term-document matrix of the transcripts to perform the topic modeling. When set to explain returns of the MSCI USA index we find that NLIS consistently outperforms GICS, often by several hundred basis points. We attribute this to NLIS' ability to assign a stock to multiple industries. We also suggest that the proportions of industry assignments for a given stock could correspond to expected future revenue sources rather than current revenue sources. This property could explain some of NLIS' success since it closely relates to theoretical stock pricing.
NLIS classification for Amazon.com
With topic modeling it is possible to capture multiple industry engagements for a given publicly listed company. The words listed in the chart distinguish topics, regardless of company.
Trailing R<sup>2</sup> for factor models using NLIS vs GICS Industry Group, same number of factors

A factor model with NLIS industry factors can explain a larger share of returns than a GICS-based model using the same number of factors (with equal or higher significance).

Explore the NLIS language model
A visual representation of the NLIS topic model. Reduction of 24 topics to 3 principal components. Colors denote GICS Industry Group - this displays whether NLIS assignments are consistent across stocks. Hover over a marker to see stock ticker and significant words. Link


Cinetrii (2016-2017)

The Neon Demon on Cinetrii

Link Development blog
A search engine to trace artistic lineage in film based on inferences by critics. A software engineering hobby project making use of natural language processing.

The best movie recommendation webapp we’ve come across - Huffington Post

Depending on how you look at it, Cinetrii is a useful service, fun toy or dangerous time-suck. - Fandor

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HS2020 Energy monitor, project in DD1365 Introduction to Software Engineering (2014)

Hammarby Sjöstad is running the sustainability project HS2020. I've been part of developing an application to visualize the energy consumption of the properties in the area.

  • Touch interface
  • Properties can be selected to show kilowatt hour per square meter
  • Address search function
  • Java
  • jMonkey API for 3D rendering
  • Sparsh UI for the touch interface

Final project in DD1339 Introduction to Computer Science (2013)

With Timothy Bartram I developed a clone of Bomberman.

  • Local multiplayer for up to 4 players
  • Online multiplayer for up to 4 players
  • Controller support
  • Java with LWJGL

Game project (2014)

I developed a 3D game engine in Java. Making the engine was far more fun than making the game, hence I never finished the game.



  • 3D rendering with LWJGL, a Java mapping to the OpenGL API. The entire game engine is made from scratch.
  • Shaders which handled:
    • Per-pixel spot lighting
    • Normal mapping
    • Specular highlighting
  • Positioning 3D meshes in game
  • Importing animations from Brekel Kinect
  • In game scripting language to make game logic, dialogues
  • Weather effects